VolumeTrend · Volume · Haugen and Baker (1996)

Volume Trend

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1928Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.57%

95% interval −0.14% to 1.25%

Next year

0.58%

95% interval −0.13% to 1.25%

Next five years

0.61%

95% interval −0.10% to 1.28%

Next quarter

1.55%

95% interval 0.91% to 2.20%

Next year

1.55%

95% interval 0.89% to 2.21%

Next five years

1.54%

95% interval 0.80% to 2.23%

Next quarter

0.79%

95% interval 0.05% to 1.52%

Next year

0.80%

95% interval 0.05% to 1.53%

Next five years

0.82%

95% interval 0.04% to 1.58%

Next quarter

1.98%

95% interval 1.24% to 2.73%

Next year

1.98%

95% interval 1.22% to 2.74%

Next five years

1.97%

95% interval 1.14% to 2.76%

Cumulative market-adjusted return

+481% since 1928Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1928Q3–2024Q4	2.71%	13.36%	0.20	1.99
2020Q1–2024Q4	−0.36%	15.85%	−0.02	−0.05
2024Q1–2024Q4	−13.57%	11.48%	−1.18	−1.18
1928Q3–2024Q4	6.68%	13.43%	0.50	4.88
2020Q1–2024Q4	6.51%	9.04%	0.72	1.61
2024Q1–2024Q4	3.22%	3.57%	0.90	0.90
1928Q3–2024Q4	3.60%	14.92%	0.24	2.37
2020Q1–2024Q4	2.34%	14.39%	0.16	0.36
2024Q1–2024Q4	−12.42%	19.90%	−0.62	−0.62
1928Q3–2024Q4	8.50%	15.58%	0.55	5.36
2020Q1–2024Q4	9.43%	10.99%	0.86	1.92
2024Q1–2024Q4	3.91%	2.96%	1.32	1.32

Horizon	Mean	95% interval	P(neg)
Next quarter	0.086	−0.021 – 0.187	0.05
Next year	0.087	−0.019 – 0.188	0.05
Next five years	0.091	−0.016 – 0.191	0.04
Next quarter	0.232	0.135 – 0.328	0.00
Next year	0.231	0.132 – 0.329	0.00
Next five years	0.229	0.119 – 0.332	0.00
Next quarter	0.106	0.006 – 0.204	0.02
Next year	0.107	0.006 – 0.205	0.02
Next five years	0.110	0.005 – 0.210	0.02
Next quarter	0.255	0.159 – 0.351	0.00
Next year	0.254	0.156 – 0.352	0.00
Next five years	0.253	0.146 – 0.355	0.00